You don't necessarily need to get new rotors along with new pads, unless your rotors are worn down to replacement spec and/or have significant lippage on the edges.
If you only get brake pads, and not new rotors, then just bed the new pads in using bedding procedures such as the one StopTech has available (do a search on Google or something).
If you only do street driving, you might be just fine driving normally on the new pads. No real need for specific bed-in procedure.
Rotors are cheapest @ Tischer BMW I believe:
www.getbmwparts.com
Fronts:
http://www.trademotion.com/partlocat...catalogid=4462
Rears:
http://www.trademotion.com/partlocat...catalogid=4462
Front pads part number: 34112282995
Rear pads part number: 34216761248